<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>Since <xref ref-type="bibr" rid="j_fprj-2016-0009_ref_133">Samuelson’s (1969)</xref> theoretical proof that risk and time are unrelated, a half century of debate and controversy has ensued, leaving time diversification as one of the most enduring puzzles of modern finance. The most conspicuous aspect of the debate is the questionable assumptions that underlie much of the analysis. Thus we are left with an unsatisfying debate conducted in a paradigm where terminal wealth is usually a function only of returns, and where time-weighted measures are assumed to adequately evaluate performance. This paper reviews the major streams in the time diversification literature and argues that more realistic analysis using defensible assumptions is likely to lead to better prescriptions for improved retirement investing.</p>
</abstract>

Since Samuelson’s (1969) theoretical proof that risk and time are unrelated, a half century of debate and controversy has ensued, leaving time diversification as one of the most enduring puzzles of modern finance. The most conspicuous aspect of the debate is the questionable assumptions that underlie much of the analysis. Thus we are left with an unsatisfying debate conducted in a paradigm where terminal wealth is usually a function only of returns, and where time-weighted measures are assumed to adequately evaluate performance. This paper reviews the major streams in the time diversification literature and argues that more realistic analysis using defensible assumptions is likely to lead to better prescriptions for improved retirement investing.

The Time Diversification Puzzle: A Survey

Financial Planning Research Journal

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"The Time Diversification Puzzle: A Survey"}

Since Samuelson’s (1969) theoretical proof that risk and time are unrelated, a half century of debate and controversy has ensued, leaving time diversification...

The Time Diversification Puzzle: A Survey

Publié en ligne: 17 mars 2024

Pages: 12 - 48

Reçu: 11 juil. 2016

Accepté: 08 sept. 2016

DOI: https://doi.org/10.2478/fprj-2016-0009

© 2016 Robert J. Bianchi et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.